Based on this 15 December 2007 article from The Watchtower, called Can a Pagan Holiday Be Made Christian?, the answer comes from 2 Corinthians 6:14-17 (New World Translation).
14Do not become unevenly yoked with unbelievers. For what fellowship do righteousness and lawlessness have? Or what sharing does light have with darkness? 15Further, what harmony is there between Christ and Be´li·al? Or what portion does a faithful person have with an unbeliever? 16And what agreement does God’s temple have with idols? For we are a temple of a living God; just as God said: “I shall reside among them and walk among [them], and I shall be their God, and they will be my people.” 17“‘Therefore get out from among them, and separate yourselves,’ says Jehovah, ‘and quit touching the unclean thing’”; “‘and I will take YOU in.’”